Asset Class Correlations & Volatilities: January 2014

44 %
56 %
Information about Asset Class Correlations & Volatilities: January 2014
Finance

Published on February 4, 2014

Author: casebrad

Source: slideshare.net

Description

This chart shows correlations and volatilities for nine asset classes based on data through January 2014. Most have continued to decline, suggesting that the benefits of asset class diversification have continued to increase.

Correlations Among Major Asset Classes as of January 2014 Listed U.S. Equity REITs Listed U.S. Equity REITs Listed U.S. Mortgage REITs Non-U.S. Listed Property Companies U.S. REIT Preferred Stocks U.S. Large-Cap Stocks U.S. Small-Cap Value Stocks Non-U.S. Stocks U.S. Bonds Non-U.S. Bonds Listed U.S. Mortgage REITs Non-U.S. Listed Propty Companies U.S. REIT Preferred Stocks 1 0.61 0.72 0.42 0.60 1 0.36 0.44 1 U.S. Large-Cap U.S. Small-Cap Stocks Value Stocks Non-U.S. Stocks U.S. Bonds Non-U.S. Bonds Volatility (%) 0.64 0.61 0.30 0.34 15.1 0.46 0.50 0.27 0.37 0.21 16.3 0.35 0.57 0.62 0.82 0.25 0.64 17.7 1 0.14 0.33 0.17 0.56 0.24 8.0 1 0.87 0.79 0.20 0.18 13.2 1 0.73 0.15 0.11 16.2 1 0.18 0.51 14.7 1 0.54 3.4 1 7.7 All figures are based on a DCC-GARCH (Dynamic Conditional Correlation – Generalized Autoregressive Conditional Heteroskedasticity: Engle 2002) model using monthly data through January 2014. Listed U.S. equity REITs (FTSE NAREIT All U.S. Equity REIT), listed U.S. mortgage REITs (FTSE NAREIT Mortgage REIT), and U.S. large-cap stocks (S&P 500) from January 1972; non-U.S. listed property companies (FTSE EPRA/NAREIT Developed x-US) from January 1990; U.S. REIT Preferred Stocks (BofA/ML Preferred Stock REITs) from January 1997; U.S. small-cap stocks (Russell 2000 Value) from January 1979; non-U.S. stocks (MSCI AC World ex-US) from January 1988; U.S. bonds (BC US Aggregate) from January 1976; non-U.S. bonds (BS Global Aggregate x-USD) from January 1990. S&P 500, Russell 2000 Value, and MSCI AC World ex-US indexes and FTSE NAREIT and FTSE EPRA/NAREIT indexes. Source: NAREIT analysis using Matlab with Kevin Sheppard’s DCC-GARCH routine. 0

Add a comment

Related presentations

Les changements sur le marché du distressed aux Etats-Unis et en Europe

Main Sections of the Report 1) Nifty Technical View 2) 4 Large Cap Trade Ide...

This presentation consits the yearly results of Kinepolis Group

Related pages

Dynamic correlations: The implications for portfolio ...

Dynamic correlations: The implications for portfolio ... Dynamic correlations Volatility is typically ... correlation between these two asset classes ...
Read more

Rise of Cross-Asset Correlations - CBOE

Rise of Cross-Asset Correlations Asset Class Roadmap ... multi-asset portfolio increases with the level of cross-asset correlation and the volatility of ...
Read more

Pension Fund Asset Allocation Survey: Investors Well ...

Pension Fund Asset Allocation ... January 2014 7 bfinanceAsset Price Volatility ... reduction in traditional asset classes’ correlations observed of late ...
Read more

Correlations of Various Asset Classes with the Market ...

Correlations of Various Asset Classes with the ... the correlations of many asset classes ... investment to greater volatility than ...
Read more

Asset Correlation: What It Is and How to Use It - BPV ...

BPV Capital Management is built on the simple ... react differently to smooth out volatility and ... the correlation among asset classes, ...
Read more

Figure 1.20. Asset Comovements and Correlation Spillovers

Asset classes: 1. Correlation ... and postcrisis period January 1, 2010, to December 31, 2014. ... Market Volatility Index. Figure 1.20. Asset Comovements ...
Read more

Asset Class Correlations - Portfolio Visualizer

Asset Correlations; Asset Class Correlations; Factor Analysis; ... Asset class correlations based on representative ETFs for each asset class; Name
Read more

Don’t Forget Diversification - CFA Institute (2014)

The asset class correlations were ... The volatility of an asset or ... The key to efficient diversification is combining asset classes that ...
Read more

Frequently Asked Questions - Portfolio Visualizer

Frequently Asked Questions. ... with historical asset class volatility and correlations ... when December 2014 data is released on January ...
Read more